欧洲-宏观策略-关注iTraxx与CDX指数.docxVIP

14 March 2019Eyes on iTraxx CDX indicesThe main topic for next week is the Roll. We provide the theoretical values of the rolls for all European iTraxx indices as well as CDX IG. We also show where we expect the rolls to trade vs. their NAV taking into account the current technicals. As far as the 5y maturity is concerned, we expect iTraxx Main S30/31 to trade @ +4.7, Fin Sen @ +8.3, Xover @ -11.5, and CDX IG S31/32 @ +72 14 March 2019 Regarding the direction of the market, we see extremely limited tightening potential in European indices, Main and Fin Sen in particular, despite the proximity